Rhoads-Russell

Russell Rhoads, CFA

Russell Rhoads, CFA, is Director of Education for the CBOE Options Institute. His career before CBOE included positions at a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, Balyasny Asset Management, and Millennium Management. He is a financial author and editor having contributed to multiple magazines and edited several books for Wiley publishing. He is the author of six market related books including Trading VIX Derivatives, Option Spread Trading, Trading Weekly Options, and Options Strategies for Advisors and Institutions. He authored material to be included in Level II of the CFA program and material for the CMT designation. In addition to his duties for the CBOE, he is an adjunct instructor at Loyola University and the University of Illinois - Chicago. He is a double graduate of the University of Memphis with a BBA ('92) and an MS ('94) in Finance and also received a Master's Certificate in Financial Engineering from the Illinois Tech in 2003. Russell is currently pursuing a PhD from Oklahoma State University with an expected graduation date of December 2017.

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 30, 2017, 9:02 AM

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/25/2017 - 9/29/2017

    Small cap stocks still lag, but the Russell 2000 (RUT) made quite a run over the past couple of weeks and is now up 9.85% on the year compared to 12.5% for the Russell 1000 (RUI).  Friday was the end of the third quarter and with the late quarter move RUT ended up 5.33% higher while RUI gained 3.97%.  The relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX visited 2017 lows over the past couple of weeks as small cap stocks outperformed large caps.  Despite the[...]

  • VIX | Trader Talk | Sep 27, 2017, 12:38 PM

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Block Trade Analysis - Buyer of 100,000 VIX Oct 17 Calls

    Another big bullish VIX trade came into the pit today, with VIX just over 10.00 and the October futures at 12.20, a buyer of about 100,000 VIX Oct 17 Calls came into the market paying 0.45 for the whole lot.  The trade got divided up around the pit in several pieces, which shows up in the time and sales from LiveVol below.  There’s just under 3 weeks October 18th when these options settle on the market open so the buyer is either speculating on a volatility spike, or guarding against[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 25, 2017, 4:57 PM

    Block Trade Analysis - VIX Roll Trade

    Block Trade Analysis - VIX Roll Trade

    Back in the day, when I was a lad in Junior High School, the Dead Kennedys remade the theme to the TV show Rawhide.  The song begins, “Rollin’ rollin’ rollin’”, which is the ear worm I get when I see a trade like we had in the VIX pit today.  Specifically, an October spread that got put on in July was rolled out to December.    The first part of the story begins on Friday July 21st when a trader initiated a spread that sold 1 VIX Oct 12 Put for 0.75,[...]

  • Trader Talk | Sep 20, 2017, 12:12 PM

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Block Trade Analysis: Big Emerging Market Index Put Sale

    Everyone knows the equity markets have been putting up a solid 2017.  The S&P 500 is up about 12% and developed markets, excluding North America, as measured by the MSCI EAFE (MXEA) Index is up about 17.5% for 2017.  However, emerging markets, as displayed by the performance of the MSCI Emerging Markets Index (MXEF) has gained almost 29%.  The chart below shows the performance for MXEF in 2017.     A big trade came into the MXEF post at CBOE yesterday that seems[...]

  • VIX | Trader Talk | Education | Futures | Strategy | Trade Ideas | Sep 16, 2017, 5:15 AM

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    Weekend Review of VIX Futures and Options - 9/11/2017 - 9/15/2017

    VIX threatened to close the week with a 9 handle, but managed to stay out of single digit territory.  Spot VIX was down over 16% and the standard September futures contract which goes off the board on the open Wednesday was down 16% as well.  There’s still a premium of 0.95 between spot and September VIX, but the gap that has persisted until recently is closing.  October, which will take over as the front month, remains at a premium of about 1.75.  Friday was fairly quiet,[...]

  • Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 9/11/2017 - 9/15/2017

    Small cap stocks had a great week last week with the Russell 2000 (RUT) rising 2.25% which the large cap focused Russell 1000 (RUI) was up about 1.6%.  For the year RUI still has just over a 6% lead on RUT. Small cap volatility as measured by the CBOE Russell 2000 Volatility Index (RVX) has spent most of 2017 at a historically high premium relative to large cap volatility, best depicted by VIX.  The chart below shows RVX basically crashing to the lowest levels seen in 2017 last week. [...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 9:29 AM

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Panel on Sourcing Index Option Liquidity at RMC Europe

    Henry Schwartz, President of Trade Alert led a panel discussion on Sourcing Liquidity in Index Options today at RMC in Europe.  The panelists were: Kristin Boyd, Director, Credit Suisse William Ellington, Managing Partner, X-Change Financial Access LLC Stacey Gilbert, Head of Derivatives Strategy, Susquehanna Sander van Zelm, Head of Institutional Trading, Optiver Henry started things off giving an overview of the US options industry.  He noted that indexes (specifically[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 4:08 AM

    Panel on Volatility ETPs at CBOE RMC

    Panel on Volatility ETPs at CBOE RMC

    Nick Cherney, Head of Exchange Traded Products at Janus Henderson and Pete Clarke, Global Head of Equity Derivatives Strategy at UBS split duties for a session titled Design and Trading of US and European Volatility Related ETPs at RMC today. Cherney kicked things off giving a history of VIX related ETPs and demonstrating the tremendous growth of these markets.  He also noted the VSTOXX futures market is growing, but that the size of that market is much smaller than the VIX futures market. [...]

  • Trader Talk | Education | Sep 13, 2017, 2:59 AM

    Panel on Long and Relative Value Volatility Trading and Tail Risk

    Panel on Long and Relative Value Volatility Trading and Tail Risk

    The first session on the final day at RMC was a panel discussion titled, Panel on Long and Relative Value Volatility Trading and Tail Risk.  The panel was moderated by Paul Leech from JP Morgan and panelists, who represented all major regions of the globe, were David Dredge CIO Convex Strategies at City Financial Investment Company Oleg Lugovkin, Portfolio Manager, Argentiere Capital Chris Rodarte, Portfolio Manager, Pine River Capital Management Pierre de Saab, Partner and[...]

  • Trader Talk | Education | Sep 12, 2017, 3:01 PM

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Discussion at CBOE RMC

    The Evolving Dynamics of VIX Futures was one of the most anticipated presentations today at RMC Europe and Alex Orus from Principalium Capital and Erkki Slide from Independent View met all expectations.  Slide noted the current low volatility environment and attributed a combination of the current equity market environment, low individual stock specific volatility, low correlations among S&P 500 constituents, and the trade-off between variance risk premium and tail risk as being factors[...]

  • Trader Talk | Education | Sep 12, 2017, 2:59 PM

    Designer Dispersion Trading Discussed at CBOE RMC

    Designer Dispersion Trading Discussed at CBOE RMC

    In one of the final sessions today at CBOE RMC Europe Riddhi Prasad from Deutsche Bank and Arne Staal of Standard Life Investments delivered a talk titled Designer Dispersion: Identifying Optimized Risk Premium.   The pair discussed dispersion trades for extracting risk adjusted value which is separate from the volatility risk premium.  They also discussed what drives performance in different volatility regimes.  By ‘designer dispersion’ they are referring to using optimized[...]

  • Trader Talk | Education | Sep 12, 2017, 10:48 AM

    How to Hedge Cross-Asset Portfolios with Risk Transfer

    How to Hedge Cross-Asset Portfolios with Risk Transfer

    Kokou Agbo-Bloua from Societe Generale and Natasha Sibley of Henderson Global Investors shared duties in a discussion titled How to Hedge Cross-Asset Portfolios with Risk Transfer this afternoon at CBOE RMC Europe.  They explored how the hedging needs from different investors such as pension funds, asset managers, and insurance companies are drivers of the supply and demand of market correlations.  These hedging needs may result in various trading opportunities.  Natasha showed how[...]

  • VIX | Trader Talk | Education | Sep 12, 2017, 10:45 AM

    RMC Panel on Market Structure

    RMC Panel on Market Structure

    Philip Stafford from the Financial Times moderated a panel on Market Structure for Equity, Equity-Related Options and Volatility Products and FX today at RMC Europe.  The panelists were: Bryan Christian, SVP, Head of US Sales, Bats Global Markets, CBOE Holdings Eric Frait, Vice President, Business Analysis, CBOE/CFE, CBOE Holdings Mark Hemsley, CEO, Bats Europe, CBOE Holdings Paul Millward, Head of FX Product Strategy, CBOE Holdings A topic of interest in Europe is the pending[...]

  • Market News | Trader Talk | Education | Sep 12, 2017, 8:21 AM

    Volatility: Harvest Premia or Hedge Risk?

    Volatility:  Harvest Premia or Hedge Risk?

    Abhinandan Deb from Bank of America Merrill Lynch led a discussion with Roni Israelov from AQR and Neale Jackson from 36 South Capital Advisors to kick off the afternoon session at RMC today.  This was a unique session in that the panelists compared and contrasted either harvesting risk premium or hedging risk with volatility which was appropriately titled Volatility: Harvest Premia or Hedge Risk? An opening statement from Roni was that we are here learning about not losing money or manage risk[...]

  • Market News | Education | Sep 12, 2017, 6:49 AM

    The Current Volatility Environment Discussion at CBOE RMC

    The Current Volatility Environment Discussion at CBOE RMC

    Maneesh Deshpande from Barclays discussed The Current Volatility Environment today at CBOE RMC Europe.  In a wide-ranging talk, he covered the current low volatility regime, how VIX related ETPs may be impacting the derivatives markets and addressed the common question, “How low can VIX go?”.  He started out addressing the question, “Why is VIX low?”.  He noted that realized volatility has been very low, but this is common during market rallies.  He also[...]